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- Title
Volatility and Depth in Commodity and FX Futures Markets.
- Authors
Aidov, Alexandre; Lobanova, Olesya
- Abstract
Prior theory suggests a positive relation between volatility and market depth, while past empirical research finds contrasting results. This paper examines the relation between the volatility and the limit order book depth in commodity and foreign exchange futures markets during a turbulent time using the generalized method of moments (GMM). Results indicate a negative relation between volatility and depth and suggest that the depth in the limit order book decreases as volatility increases. Findings help to understand how market participants provide liquidity in response to shifts in prices.
- Subjects
FOREIGN exchange market; COMMODITY futures; FUTURES market; FOREIGN exchange futures; GENERALIZED method of moments; FOREIGN exchange
- Publication
Journal of Risk & Financial Management, 2021, Vol 14, Issue 11, p1
- ISSN
1911-8066
- Publication type
Article
- DOI
10.3390/jrfm14110545